The purpose of this paper is to test the existence of financial contagion between stock markets of several emerging and developed countries in Asia during the trade wars. As a result of DCC-GARCH and ADCC-GARCH analysis, we find the evidence of contagion during trade wars for most of the developed and emerging countries. Another finding is that emerging markets seem to be the most influenced by the contagion effects during trade wars. Contagion is tested using DCC and ADCC means difference test. Our findings indicate the presence of contagion in the equity markets across all the eight pairs of source-target countries that are considered.
Relation:
British Journal of Economics, Finance and Management Sciences 16(2), p.1-10
